It is neither.
mysqldump is a console command, (it is also available in windows) that is part of the Mysql package. it basically allows you to dump a database, or all the databases to a text file, which can then be used to restore the database in case of a disaster.
Mysqldump can be used in a cronjob, which is run at a specific time or interval. In windows the same thing can be setup using "Scheduled Tasks" and a .bat file.